The sum of all fears : forecasting international returns using option-implied risk measures
Marie-Hélène Gagnon, Gabriel J. Power, Dominique Toupin
| Year of publication: |
2023
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|---|---|
| Authors: | Gagnon, Marie-Hélène ; Power, Gabriel J. ; Toupin, Dominique |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 146.2023, p. 1-22
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| Subject: | Equity markets | Foster-Hart | Generalized riskiness | Higher-order moments | International | Options | Out-of-sample | Predictive regressions | Return predictability | Risk-neutral distribution | Skewness | Variance risk premium | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Risikoprämie | Risk premium | Statistische Verteilung | Statistical distribution | Risiko | Risk | Portfolio-Management | Portfolio selection | Aktienmarkt | Stock market | Optionspreistheorie | Option pricing theory | Risikomaß | Risk measure | Optionsgeschäft | Option trading | Volatilität | Volatility | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2022.106701 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014248207